Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0765 |
| Annualized Std Dev | 0.2747 |
| Annualized Sharpe (Rf=0%) | 0.2785 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3743.0000 |
| NAs | 1.0000 |
| Minimum | -0.1444 |
| Quartile 1 | -0.0070 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0083 |
| Maximum | 0.1298 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0173 |
| Skewness | -0.4484 |
| Kurtosis | 8.7129 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0126 |
| Gain Deviation | 0.0122 |
| Loss Deviation | 0.0138 |
| Downside Deviation (MAR=210%) | 0.0169 |
| Downside Deviation (Rf=0%) | 0.0124 |
| Downside Deviation (0%) | 0.0124 |
| Maximum Drawdown | 0.7311 |
| Historical VaR (95%) | -0.0258 |
| Historical ES (95%) | -0.0421 |
| Modified VaR (95%) | -0.0271 |
| Modified ES (95%) | -0.0535 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-01-17 | -0.7311 | 1405 | 436 | 969 |
| 2018-01-23 | 2020-03-23 | 2020-12-17 | -0.5417 | 733 | 545 | 188 |
| 2015-05-19 | 2016-01-20 | 2016-11-10 | -0.2851 | 376 | 170 | 206 |
| 2014-09-03 | 2014-10-13 | 2014-12-29 | -0.1263 | 82 | 29 | 53 |
| 2006-05-09 | 2006-06-14 | 2006-10-13 | -0.0940 | 95 | 17 | 78 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | 0 | 0.2 | 0.6 | 0.5 | -0.7 | 0.2 | -0.7 | -0.8 | -0.3 | -0.9 | -2 |
| 2007 | 0.6 | -0.2 | 0 | 0.3 | 0.6 | -0.2 | 0.8 | 1.1 | 2.2 | -2.5 | 0.9 | -0.6 | 2.9 |
| 2008 | 3.2 | -3.9 | 4.7 | 3 | -0.3 | 0 | 0.2 | -0.7 | 0.1 | 3.3 | -9.9 | 5.9 | 4.8 |
| 2009 | -8.8 | 0.4 | -0.8 | -0.3 | 5.9 | 3.9 | -0.6 | -4 | -5 | -3.5 | 2.8 | -1.4 | -11.7 |
| 2010 | 1.7 | 1.6 | 1.1 | -3 | -3.5 | -1 | 0.2 | 3.5 | 0.1 | -0.5 | 1.7 | -0.6 | 1.1 |
| 2011 | 1.8 | -1.4 | 0.9 | -0.6 | -1.7 | 1.3 | -2.1 | -1.3 | -1.4 | -3.2 | -1.2 | -0.4 | -8.9 |
| 2012 | 2.5 | 0.5 | -0.1 | 1 | -3 | 3.4 | -1.3 | 0.3 | -0.3 | 2.6 | -0.1 | 0.9 | 6.6 |
| 2013 | 0.5 | -0.8 | -1.4 | -2.1 | -0.6 | 0.9 | 2.3 | -1.7 | 1.1 | 0.2 | 0 | 0.3 | -1.5 |
| 2014 | -0.2 | 0.8 | 0.7 | 0.5 | -0.1 | 1 | -0.3 | 0.4 | -1.8 | 1.7 | -1.3 | -1 | 0.3 |
| 2015 | -0.6 | -0.5 | -0.3 | 0.8 | -0.5 | -0.2 | -0.2 | -3.3 | -0.5 | 0 | 0.9 | -0.9 | -5.3 |
| 2016 | -0.3 | 1.8 | 0.3 | -0.7 | 0.3 | 1.4 | -1.4 | -0.7 | 0.5 | -1.1 | 0.1 | -0.7 | -0.6 |
| 2017 | -0.2 | 2.1 | 0 | 0 | 2.3 | 0 | 0.2 | 0.3 | 0.3 | 0 | -0.7 | -0.5 | 3.7 |
| 2018 | -0.5 | -0.6 | 1.4 | -0.6 | 0.5 | -0.3 | -0.7 | -0.2 | -0.7 | 1.9 | -0.9 | -0.3 | -1 |
| 2019 | 0.8 | 0.2 | 2.2 | -1.3 | -2.3 | 0 | -3.2 | 0.3 | -2.2 | 2.1 | -0.7 | 0.4 | -3.9 |
| 2020 | -2.2 | -1.4 | -6.4 | -4.6 | 2 | -2.4 | -1.2 | 1.2 | 1.3 | -1.3 | 2.3 | 0.1 | -12.3 |
| 2021 | 2 | 2.4 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-03-07 30.5 SPY 128. -0.0016 -0.002 0.0135 0.0088 0.0422 0.546 0.0324 GLD 55.0 -0.0051 -0.02
2 2006-03-08 30.4 SPY 128. 0.0021 -0.0087 0.013 0.0131 0.0483 0.539 0.0292 GLD 54.0 -0.0178 -0.038
3 2006-03-13 31.1 SPY 129. 0.0019 0.0051 0.0191 0.0225 0.0701 0.589 0.0218 GLD 54.3 0.0089 -0.0167
4 2006-03-14 31.2 SPY 130. 0.0105 0.0173 0.028 0.0305 0.0746 0.552 0.0252 GLD 54.9 0.0103 -0.0015
5 2006-03-15 31.4 SPY 131. 0.0045 0.0197 0.0344 0.0341 0.0884 0.554 0.0286 GLD 55.1 0.0046 0.0213
6 2006-03-16 31.4 SPY 131. 0.0021 0.0287 0.0257 0.0292 0.1 0.510 0.0622 GLD 55.3 0.004 0.0203
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
